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<h1>Euclidean projection on a rectangle</h1>
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<span class="comment">% Section 8.1.1, Boyd &amp; Vandenberghe "Convex Optimization"</span>
<span class="comment">% Joelle Skaf - 10/07/05</span>
<span class="comment">%</span>
<span class="comment">% The projection of x0 on a rectangle C = {x | l &lt;= x &lt;= u} is given by</span>
<span class="comment">%           minimize || x - x0 ||^2</span>
<span class="comment">%               s.t.    l &lt;= x &lt;= u</span>
<span class="comment">% It is also given by P_C(x0)_k = l_k       if  x0_k &lt;= l_k</span>
<span class="comment">%                                 x0_k      if  l_k &lt;= x0_k &lt;= u_k</span>
<span class="comment">%                                 u_k       if  x0_k &gt;= u_k</span>

<span class="comment">% Input data: generate vectors l and u such that l &lt; 0 &lt; u</span>
n  = 10;
l  = -rand(n,1);
u  = rand(n,1);
x0 = randn(n,1);

<span class="comment">% Analytical solution</span>
fprintf(1,<span class="string">'Computing the analytical solution ...'</span>);
pc_x0 = x0;
pc_x0(find(x0&lt;=l)) = l(find(x0&lt;=l));
pc_x0(find(x0&gt;=u)) = u(find(x0&gt;=u));
fprintf(1,<span class="string">'Done! \n'</span>);

<span class="comment">% Solution via QP</span>
fprintf(1,<span class="string">'Computing the optimal solution by solving a QP ...'</span>);

cvx_begin <span class="string">quiet</span>
    variable <span class="string">x(n)</span>
    minimize ( norm(x-x0) )
    x &lt;= u;
    x &gt;= l;
cvx_end

fprintf(1,<span class="string">'Done! \n'</span>);

<span class="comment">% Verification</span>
disp(<span class="string">'-----------------------------------------------------------------'</span>);
disp(<span class="string">'Verifying that the analytical solution and the solution obtained via QP are equal: '</span>);
[pc_x0 x]
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Computing the analytical solution ...Done! 
Computing the optimal solution by solving a QP ...Done! 
-----------------------------------------------------------------
Verifying that the analytical solution and the solution obtained via QP are equal: 

ans =

   -0.2028   -0.2028
   -0.1987   -0.1987
    0.5252    0.5252
   -0.0562   -0.0562
    0.5135    0.5136
    0.3967    0.3967
    0.0196    0.0196
    0.4005    0.4006
   -0.9318   -0.9318
    0.3750    0.3751

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